Structural change test in duration of bull and bear markets

•Equity prices over long periods can be described as bull and bear market cycles.•A test to analyze structural changes in these cycle durations is proposed.•There is evidence of structural break in the bull market duration in April, 1942.

We propose a recursive test to analyze structural changes in duration of bull and bear markets. Using the Dow Jones Industrial Average index, we detected a single structural break in the bull market duration in April, 1942.